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varan

varan
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Latest  |  Highest rated
  • Adaptive Asset Allocation: A True Revolution In Portfolio Management [View article]
    Performance of a real mutual funds based portfolio using this approach:

    http://seekingalpha.co...
    May 22 03:47 PM | 0 Likes Like |Link to Comment
  • Sell In May (3): A Strategy Worth More Than 25% A Year Since 2001 [View article]
    'Inferred to facilitate back testing.'


    OK.

    http://bit.ly/GYvJnQ

    Seems like a version of 'I have a secret plan', or 'I do not remember what I said but I stand by it'. Classic.

    No need to compare credentials or track records. Just verify the facts. See Josef Friedman's comment below.
    May 22 09:24 AM | 0 Likes Like |Link to Comment
  • Sell In May (3): A Strategy Worth More Than 25% A Year Since 2001 [View article]
    I hope no one is acting on your advice, as your numbers sound quite fishy. For starters, SH has been around only since 2006. In any case who would want to short the whole market on the basis of a mechanical strategy?

    SA is a great platform to publish your ideas, but you owe it to your readers to be a bit more careful in making sure that what you disseminate passes the smell test.
    May 22 02:01 AM | 0 Likes Like |Link to Comment
  • It's 1998 And You're Handed $100K To Invest [View article]
    If I had not read the articles of financial advisers, I would have kept my $20K that I had invested in MSFT, INTC, AAPL, YHOO, and QCOM and would have stopped looking at my brokerage account for 14 years, only to wake up to see that I have done just fine, despite an intervening year of 60% loss, another of 40% loss, and yet another of 28% loss.

    Let us banish all the financial advisers who opine on what to buy or sell.
    May 21 02:50 PM | 1 Like Like |Link to Comment
  • Adaptive Asset Allocation: A True Revolution In Portfolio Management [View article]
    For the basket of QQQ, DIA, SPY, a long treasury bond fund (VUSTX or TLT) and a corporate bond fund (VBMFX or AGG), risk parity coupled with the 6 month momentum and 1 month holding period (for 1, 2, 3, or 4 selections of the five based on the momentum) is not as good as good old MPT. Even if you optimize with respect to the holding period, the momentum period and the number of selections based on momentum (and expose yourself to overfitting/datamining bias) it's hard to beat MPT.

    I think that perhaps the revolution is a bit of a hype, and is not the road to trading nirvana as advertised or at least not as universally better than MPT as the article seems to indicate.
    May 18 11:51 AM | 1 Like Like |Link to Comment
  • How Much Money Does It Take To Make Money? [View article]
    To pay for that just buy STON. By the time you need their services, you would have made much more in their hefty dividends than what you would have to pay them. Go with the last revenge.
    May 16 04:00 PM | 0 Likes Like |Link to Comment
  • Sell In May (2): A Strategy Worth 33% A Year Since 2002 [View article]
    Obviously I cannot examine your spreadsheet that I do not have.

    However, the actual CAGR during 2003-2012 comes to 23%. That is pretty good too.

    Just a note of caution to the readers - that is it.
    May 16 11:30 AM | 1 Like Like |Link to Comment
  • Sell In May (2): A Strategy Worth 33% A Year Since 2002 [View article]
    Your results are not reproducible. You should recheck your calculations.
    May 16 09:34 AM | 0 Likes Like |Link to Comment
  • Income Investors: Have An Open Mind For Closed-End Funds [View article]
    I have looked at a lot of CEFs and most of them are quite volatile - perhaps disastrously so for the retirees or the faint of heart.

    Unless you buy plan to invest in a CEF as part of a much larger portfolio, it's not worth it.
    May 15 03:56 PM | 0 Likes Like |Link to Comment
  • Adaptive Asset Allocation: A True Revolution In Portfolio Management [View article]
    The original portfolio of ten assets itself is a pretty good portfolio (though I think that the inclusion of Japanese stocks separately is an anachronism). Just VTI, EFA, EEM, GLD, DBC, IYR (or VNQ), RWX, TLT, IEF, and DBC make a very good lazy portfolio. If you add some bond funds, i.e., MBB, MUB, AGG, and EMB, you get a portfolio for which you get quite decent returns without much volatility even without monthly rebalancing.
    May 15 01:32 PM | 0 Likes Like |Link to Comment
  • Adaptive Asset Allocation: A True Revolution In Portfolio Management [View article]
    It must be mentioned however that volatility/risk parity strategy that the authors use is nothing more than a special case of MPT where you are just trying to minimize the variance of the portfolio. In classical MPT you just add the constraint that the return is a particular value.

    So not exactly a revolution.
    May 15 10:10 AM | 2 Likes Like |Link to Comment
  • Adaptive Asset Allocation: A True Revolution In Portfolio Management [View article]
    Excellent article. A cut above the others on SA.

    How do you calculate the 60 day volatility? Is it just the standard deviation of the returns of the previous sixty days or something more?
    May 14 03:43 PM | 0 Likes Like |Link to Comment
  • Sell In May: A Strategy Worth 26% A Year Since 2001 [View article]
    No I was referring Mike OConnor's point on YOUR METHODOLGY, and he is essentially correct: you have to go back and for every year find the best months of the year in which to invest, and you will find that the seasonal effect is not as pronounced as you are claiming.

    Good for a short post, but not necessarily as a trading strategy.
    May 14 01:45 PM | 0 Likes Like |Link to Comment
  • Why 'New York Times' Economist Paul Krugman Is Partly Right But Mostly Wrong [View article]
    See, in the brain of a Wingnut, when a Democrat is the President, the normal laws of statistics, mathematics, and physics apply only when they prove that he is a failure - otherwise the laws are wrong, or as the Republican lap dogs in the Supreme Court said in 2000, just for the particular case of the Democratic President, different laws apply.
    May 14 09:52 AM | 0 Likes Like |Link to Comment
  • Sell In May: A Strategy Worth 26% A Year Since 2001 [View article]
    For 2003-2011, for QQQ-TLT you get an annualized return of about 17%. If you substitute VUSTX for TLT (since Yahoo does not have data for TLT for May 2002) you get 20% during 2001-2011. Not as high as 26%, but quite good.

    The author might want to re-check his computations.
    May 14 03:22 AM | 1 Like Like |Link to Comment
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